AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS

DOI10.1017/S1446181122000062zbMath1496.91083OpenAlexW4283169971MaRDI QIDQ5038208

Joanna M. Goard

Publication date: 30 September 2022

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181122000062

zbMATH Keywords

free boundary problemsanalytical approximationsconvertible bondsoptimal conversion price

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• On free boundary problems with arbitrary initial and flux conditions
• How should a convertible bond be decomposed?
• A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
• The use and pricing of convertible bonds
• An analytic formula for pricing American-style convertible bonds in a regime switching model

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